Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 10 10 10
Score 9.5 8.62 8.6
Market Cap (Millions USD) 4344.92 4124.39 4159.34
Predicted Beta 3.25 3.22 3.15
Idiosyncratic Volatility 2.81 3.65 3.78

Annualized return and volatility

IYW
Annualized Return 0.0449
Annualized Std Dev 0.2656
Annualized Sharpe (Rf=0%) 0.1692

Row

Daily Return Statistics

IYW
Observations 5015.0000
NAs 99.0000
Minimum -0.0838
Quartile 1 -0.0066
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0076
Maximum 0.1779
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0167
Skewness 0.4929
Kurtosis 8.0067

Downside Risk

IYW
Semi Deviation 0.0117
Gain Deviation 0.0126
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.8190
Historical VaR (95%) -0.0273
Historical ES (95%) -0.0396
Modified VaR (95%) -0.0221
Modified ES (95%) -0.0221
From Trough To Depth Length To Trough Recovery
2000-07-18 2002-10-09 2017-01-11 -0.8190 4220 568 3652
2018-08-30 2018-12-24 2019-03-21 -0.2396 142 82 60
2019-04-30 2019-06-03 2019-07-12 -0.1291 53 25 28
2018-01-29 2018-02-08 2018-02-26 -0.1054 20 9 11
2018-03-13 2018-04-02 2018-06-01 -0.1021 58 15 43

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYW
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 2.4 0.0 -1.9 0.3 0.0 -1.1 1.5 0 1.1
2001 -0.2 3.7 0.0 2.0 2.0 0.0 2.5 0.0 -1.7 2.7 0.0 0 11.5
2002 -1.2 6.2 1.0 -0.9 0.0 -4.6 -4.9 0.0 3.9 2.9 0.0 0 2.0
2003 0.0 0.0 -0.3 0.7 0.0 1.2 -0.6 0.0 2.0 0.0 0.8 0 3.8
2004 0.0 1.2 0.5 0.0 -0.6 -2.2 0.0 0.5 3.3 0.6 2.1 0 5.4
2005 0.6 1.2 -0.7 0.0 0.9 0.3 0.0 -0.5 0.0 0.4 1.5 0 3.8
2006 0.6 2.1 0.0 -0.8 1.8 0.0 -1.6 0.2 0.0 -0.9 -1.2 0 0.1
2007 -0.1 -0.5 0.0 0.4 0.0 0.0 1.1 0.0 1.3 -1.3 0.0 0 0.9
2008 1.0 0.0 3.5 2.9 0.0 0.3 -0.6 0.0 -1.3 0.0 -7.2 0 -1.9
2009 0.0 0.0 2.2 0.6 3.4 0.7 0.0 -2.1 -3.0 0.0 1.4 0 3.2
2010 1.6 1.3 0.1 0.0 -1.1 -0.4 0.0 2.6 -0.1 0.3 2.2 0 6.6
2011 1.8 -1.8 -0.3 0.0 -2.3 1.6 -0.2 -1.2 0.0 -2.9 0.5 0 -4.9
2012 1.1 0.7 0.0 0.3 -2.8 0.0 -0.4 0.0 -0.4 1.8 0.0 0 0.2
2013 0.9 0.1 -1.1 -0.8 0.0 0.7 1.1 0.0 1.1 0.0 0.0 0 1.9
2014 0.0 0.0 1.4 -0.2 0.0 1.0 -0.5 0.0 -1.7 0.0 -1.3 0 -1.4
2015 0.0 0.0 -0.5 1.5 0.3 0.4 0.0 -3.3 0.0 0.0 1.1 0 -0.7
2016 0.2 3.1 0.7 0.0 -0.2 0.0 0.5 0.4 0.0 -0.8 -2.5 0 1.4
2017 1.0 1.4 0.0 1.0 0.3 0.0 0.4 0.0 0.0 -0.1 -0.5 0 3.6
2018 0.0 -1.6 0.0 1.3 1.9 0.0 1.0 0.0 0.1 1.1 0.0 0 3.8
2019 0.3 0.7 1.4 -0.4 0.0 1.6 -0.6 0.0 -1.0 1.3 0.0 0 3.2

Row

Rolling Performance Chart

Snail Trail Chart